کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5100665 1478930 2017 62 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Price discovery in equity and CDS markets
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Price discovery in equity and CDS markets
چکیده انگلیسی
Price discovery contributions of equity and credit default swap (CDS) markets for U.S. firms with intraday data in 2009-2013 are examined using information and component shares metrics. Particular attention is paid to the drawbacks of these metrics because of unobservable factors such as microstructure noise and model error. While no market generally exhibits a price-discovery advantage, the CDS market's contribution increases strongly and significantly for after-hours OTC trading and for negative earnings surprises, especially with high firm-specific uncertainty. We provide some evidence that surprises contained in various macroeconomic announcements are associated with greater relative price discovery in the CDS market.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Markets - Volume 35, September 2017, Pages 21-46
نویسندگان
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